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All,
We all know about the construction and optimization of the indicators
that make up trading systems, but it strikes me that too little
consideration has been given to the execution strategies and parameters
of a trading strategy. Has anyone done any work in optimizing the actual
execution methods in an AMIBroker system? Any examples available?
Optimizing the execution strategy might have a greater impact on
profits, drawdown and equity curve than trying to optimize and build
clever indicators.
But I'm not sure how to approach the strategy or the mechanics of coding
this in AMIBroker.
On a side note it strikes me that ATR and volatility should play a role
in setting entry/exit points as well as trailing stop parameters.
The output of such optimization would have to be more than just a "buy"
or "sell" signal but a forward-looking buy or sell "target" as well as
trailing stop "percentages" and trade "size" and.... well you get the idea.
What do you folks think?
-- Zee Uber Trader
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